A new variational Bayesian (VB) algorithm, split and eliminate VB (SEVB), for modeling data via a Gaussian mixture model (GMM) is developed. This new algorithm makes use of component splitting in a way that is more appropriate for analyzing a large number of highly heterogeneous spiky spatial patterns with weak prior information than existing VB-based approaches. SEVB is a highly computationally efficient approach to Bayesian inference and like any VB-based algorithm it can perform model selection and parameter value estimation simultaneously. A significant feature of our algorithm is that the fitted number of components is not limited by the initial proposal giving increased modeling flexibility. We introduce two types of split operation in addition to proposing a new goodnessof-fit measure for evaluating mixture models. We evaluate their usefulness through empirical studies. In addition, we illustrate the utility of our new approach in an application on modeling human mobility patterns. This application involves large volumes of highly heterogeneous spiky data; it is difficult to model this type of data well using the standard VB approach as it is too restrictive and lacking in the flexibility required. Empirical results suggest that our algorithm has also improved upon the goodness-of-fit that would have been achieved using the standard VB method, and that it is also more robust to various initialization settings.

The emerging variational Bayesian (VB) technique for approximate Bayesian statistical inference is a nonsimulation-based and time-efficient approach. It provides a useful, practical alternative to other Bayesian statistical approaches such as Markov chain Monte Carlo-based techniques, particularly for applications involving large datasets. This article reviews the increasingly popular VB statistical approach and illustrates how it can be used to fit Gaussian mixture models to circular wave direction data. This is done by taking the straightforward approach of padding the data; this method involves adding a repeat of a complete cycle of the data to the existing dataset to obtain a dataset on the real line. The padded dataset can then be analyzed using the standard VB technique. This results in a practical, efficient approach that is also appropriate for modeling other types of circular, or directional, data such as wind direction.